Some very Cthulhu friendly settings:
South America before or during the second world war, lots of mysteries and strangeness for the hapless tourist.
II world war, a neutral country thick with spies and intrigues, for example Sweden, Switzerland and such.
Cold war period - any little piece of 'third world' where interests of powers clash.
Alaska or northern Canada, a small town on the edge of cold sea. Strange people live here and they tell strange tales.
Modern northern Asia, just what exactly lurks in Syberia? It's not like there are regular police patrols there...
What goes on in that abandoned soviet settlement?
Shanghai, Hong-Kong, Makau, or similar. Those places are full of mysteries, strangeness and shady dealings at any given time. It's said that when God created the world, he got the blue-prints from a dealer he met in an opium den.
Europe, a big city, heart of the world. Some mysteries don't give a damn about public works and metro.
Sewers, museums, secrets of old noble families...
Egypt. Nuff said.